Ideen für Systeme

Hallo, regelmäßig werde ich in der Folge Ideen für System und Handelstrategien hier posten. Der Grund ist einfach und simpel, moir fehlen in weiten Teilen noch die Möglichkeiten zur programmiererischen Umsetzung. Ich denke aber man sollte diese Ansätze öffentlich diskutieren und denen vielen Anfängern, die hier ohne Zweifel im Board aktiv sind, die Möglichkeit zur Anwedung geben.

Systemvorschlag:

Die Mittellinie der Bollingerbands wird von unten nach oben vom Chart geschnitten.
Dieser Schnitt fällt zusammen mit der Übersteigen der Nulllinie durch das Momentum.
(Zusatz: dieses Übersteigen muss zeitlich nicht zusammenfallen mit dem Schenieden des Bandes, sondern kann 2 Tage zuvor und einen Tag danach auch noch stattfinden.)

Wer Lust hat kann dies als im TS Systemcode hier posten. Ich versuche es auch und melde mich in der nächsten Zeit mit neuen Systemvorschlägen.

RE: Ideen für Systeme

Es ist sicherlich eine gute Idee hier Ideen für Systeme zu posten und darüber zu diskutieren.
Jedoch gehört zu einem System nicht nur das Entrysignal sondern (was eigentlich viel wichtiger ist) der Exit (und evtl. trailing stops, Moneymanagement stops, BE-Stops, Positionsizing ....)

Ideen für Systeme, Meinungen erwünscht ...

RE: Top 10 Systems of All Time

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To: " Patrick " , OmegaList
Subject: RE: Top 10 Systems of All Time
From: "Johanson, Roy"
Date: Fri, 7 May 1999 09:58:10 -0400
Resent-Date: Fri, 7 May 1999 06:58:08 -0700
Resent-From: omega-list@xxxxxxxxxx
Resent-Message-ID: <"4N1Hv.0.LL4.m5lCt"@mx1>
Resent-Sender: omega-list-request@xxxxxxxxxx

--------------------------------------------------------------------------------

Found a system called catscan (could be number 9 on your list) on the net
somewhere. I sincerely hope nobody paid money for this.



{ System: catscan }
Vars: ChoppyMarket(False), XMA1(Xaverage(TrueRange,10)),
XMA2(Xaverage(TrueRange,10)),CI(0);

CI=ChoppyIndex;
ChoppyMarket = -ChopLimits <= CI and CI <= +ChopLimits; {TRUE IF CHOPPY
MARKET}

{ *** CALCULATE DAILY XAVERAGE OF DAILY TRUE RANGES ***}
XMA1 = 0.818*XMA2+ 0.182*TrueRange; {CHOPPY MKT XAVG OF DAILY RANGES}
XMA2 = 0.818*XMA1 + 0.182*TrueRange; {TRENDY MKT XAVG OF DAILY RANGES}


{ *** CHOPPY MARKET ENTRY SIGNALS *** }
If MarketPosition <> 1 and ChoppyMarket then Buy("ChoppyBuy") Tomorrow at
Open of Tomorrow+1.25*XMA1 Stop;
If MarketPosition <>-1 and ChoppyMarket then Sell("ChoppySell") Tomorrow at
Open of Tomorrow-1.25*XMA1 Stop;


{ *** TRENDY MARKET ENTRY SIGNALS ***}
If MarketPosition <> 1 and CI > ChopLimits then Buy("BullBuy") Tomorrow at
Open of Tomorrow+0.50*XMA2 Stop;
If MarketPosition <>-1 and CI < -ChopLimits then Sell("BearSell") Tomorrow
at Open of Tomorrow-0.50*XMA2 Stop;

{ *** CHANNEL BREAKOUT ENTRY SIGNALS ***}
If MarketPosition <>1 then Buy("ChannelBuy") Tomorrow at the
Highest(TrueHigh,40) + 1 Point Stop;
If MarketPosition <>-1 then Sell("ChannelSell") Tomorrow at the
Lowest(TrueLow,40) - 1 Point Stop;

{***$2,000 MM STOP STARTS ON 2ND DAY OF TRADE***}
If MarketPosition = 1 then ExitLong("MMLongExitStop") at EntryPrice -
(2000/BigPointValue) Stop;
If MarketPosition =-1 then ExitShort("MMShortExitStop") at EntryPrice
+(2000/BigPointValue) Stop;


{ system: catscan #2 }
Vars: ChoppyMarket(False), XMA1(Xaverage(TrueRange,10)),
XMA2(Xaverage(TrueRange,10)),CI(0);

CI=ChoppyIndex;
ChoppyMarket = -ChopLimits2 <= CI and CI <= +ChopLimits2; {TRUE IF CHOPPY
MARKET}

{ *** CALCULATE DAILY XAVERAGE OF DAILY TRUE RANGES ***}
XMA1 = 0.818*XMA2+ 0.182*TrueRange; {CHOPPY MKT XAVG OF DAILY RANGES}
XMA2 = 0.818*XMA1 + 0.182*TrueRange; {TRENDY MKT XAVG OF DAILY RANGES}


{ *** CHOPPY MARKET ENTRY SIGNALS *** }
If MarketPosition <> 1 and ChoppyMarket then Buy("ChoppyBuy") Tomorrow at
Open of Tomorrow+1.25*XMA1 Stop;
If MarketPosition <>-1 and ChoppyMarket then Sell("ChoppySell") Tomorrow at
Open of Tomorrow-1.25*XMA1 Stop;


{ *** TRENDY MARKET ENTRY SIGNALS ***}
If MarketPosition <> 1 and CI > ChopLimits2 then Buy("BullBuy") Tomorrow at
Open of Tomorrow+0.50*XMA2 Stop;
If MarketPosition <>-1 and CI < -ChopLimits2 then Sell("BearSell") Tomorrow
at Open of Tomorrow-0.50*XMA2 Stop;

{ *** CHANNEL BREAKOUT ENTRY SIGNALS ***}
If MarketPosition <>1 then Buy("ChannelBuy") Tomorrow at the
Highest(TrueHigh,40) + 1 Point Stop;
If MarketPosition <>-1 then Sell("ChannelSell") Tomorrow at the
Lowest(TrueLow,40) - 1 Point Stop;

{***$2,000 MM STOP STARTS ON 2ND DAY OF TRADE***}
If MarketPosition = 1 then ExitLong("MMLongExitStop") at EntryPrice -
(2000/BigPointValue) Stop;
If MarketPosition =-1 then ExitShort("MMShortExitStop") at EntryPrice
+(2000/BigPointValue) Stop;


{ Function: ChopLimits }
{THIS USER FUNCTION SETS THE CHOP LIMITS FOR EACH CATSCAN SYSTEM COMMODITY.

IF THE CHOPPY INDEX IS BETWEEN -CHOP LIMITS AND + CHOP LIMITS,
THEN IT S A CHOPPY MARKET.
IF THE CHOPPY INDEX IS > + CHOP LIMITS THEN IT S A BULLISH TRENDING MARKET.
IF THE CHOPPY INDEX IS < - CHOP LIMITS THEN IT S A BEARISH TRENDING MARKET.
}

If CurrentBar=1 then begin
If CommodityNumber = 2 then ChopLimits = 85; {(LC) Live Cattle}
If CommodityNumber = 3 then ChopLimits = 100; {(CC) Cocoa}
If CommodityNumber = 4 then ChopLimits = 70; {(LH Live Hogs}
If CommodityNumber = 5 then ChopLimits = 50; {(PB) Pork Bellies}
If CommodityNumber = 7 then ChopLimits = 60; {(CT) Cotton}
If CommodityNumber = 8 then ChopLimits = 190; {(HG )or (CP) Copper}
If CommodityNumber = 9 then ChopLimits = 230; {(C) or (CN) Corn}
If CommodityNumber = 10 then ChopLimits = 140; {(KC) Coffee}
If CommodityNumber = 11 then ChopLimits = 85; {(LC) Live Cattle}
If CommodityNumber = 12 then ChopLimits = 140; {(OJ) Orange Juice}
If CommodityNumber = 13 then ChopLimits = 40; {(PL) Platinum}
If CommodityNumber = 16 then ChopLimits = 450; {(SI) or (SV) Silver}
If CommodityNumber = 17 then ChopLimits = 700; {(S) or (SD) Soybeans}
If CommodityNumber = 18 then ChopLimits = 160; {(SM) Soybean Meal}
If CommodityNumber = 19 then ChopLimits = 27; {(BO) Soybean Oil}
If CommodityNumber = 20 then ChopLimits = 10; {(SU) Sugar #11}
If CommodityNumber = 21 then ChopLimits = 29; {(W) or (WD) Wheat}
If CommodityNumber = 24 then ChopLimits = 37; {(DM) D Mark}
If CommodityNumber = 25 then ChopLimits = 10; {(SF) Swiss Franc}
If CommodityNumber = 26 then ChopLimits = 105; {(BP) British Lb}
If CommodityNumber = 27 then ChopLimits = 170; {(LB) Lumber}
If CommodityNumber = 30 then ChopLimits = 600; {(GC) Gold}
If CommodityNumber = 41 then ChopLimits = 22; {(TB) T Bills}
If CommodityNumber = 44 then ChopLimits = 62; {(US) T Bonds}
If CommodityNumber = 65 then ChopLimits = 30; {(JY) Japanese Yen}
If CommodityNumber = 89 then ChopLimits = 18; {(HO) Heating Oil}
If CommodityNumber = 127 then ChopLimits = 10; {(S2) Day Swiss Franc}
If CommodityNumber = 128 then ChopLimits = 105; {(B2) Day British Lb}
If CommodityNumber = 141 then ChopLimits = 19; {(ED Euro$}
If CommodityNumber = 144 then ChopLimits = 62; {(TQ) Day T Bonds}
If CommodityNumber = 149 then ChopLimits = 60; {(SP) S&P 500}
If CommodityNumber = 150 then ChopLimits = 50; {(TY) T Notes}
If CommodityNumber = 188 then ChopLimits = 16; {(CL) Crude Oil}
If CommodityNumber = 224 then ChopLimits = 75; {(HU) Unleaded Gas}
If CommodityNumber = 250 then ChopLimits = 50; {(TT) Day T Notes}
If CommodityNumber = 261 then ChopLimits = 37; {(D2) Day D Mark}
If CommodityNumber = 262 then ChopLimits = 30; {(J2) Day Japanese Yen}
If CommodityNumber = 263 then ChopLimits = 30; {(DX US $ Index}
If CommodityNumber = 269 then ChopLimits = 19; {(E2) Day Euro$}
end;

{ Function: ChopLimits2 }
{THIS USER FUNCTION SETS THE CHOP LIMITS FOR EACH CATSCAN SYSTEM COMMODITY.
NOTE:THESE ARE THE ORIGINAL CHOP LIMITS SET BY VIEWING CONTINUOUS CONTRACT
FILES AND THEN TESTING THEM USING SYSTEM WRITER.
THEY ARE NOT THE ONES SET ON THE 21 FUTURES TRUTH BACK TESTS.

IF THE CHOPPY INDEX IS BETWEEN -CHOP LIMITS AND + CHOP LIMITS,
THEN IT S A CHOPPY MARKET.
IF THE CHOPPY INDEX IS > + CHOP LIMITS THEN IT S A BULLISH TRENDING MARKET.
IF THE CHOPPY INDEX IS < - CHOP LIMITS THEN IT S A BEARISH TRENDING MARKET.
}

If CurrentBar=1 then begin
If CommodityNumber = 2 then ChopLimits2 = 45; {(LC) Live Cattle}
If CommodityNumber = 3 then ChopLimits2 = 100; {(CC) Cocoa}
If CommodityNumber = 4 then ChopLimits2 = 50; {(LH Live Hogs}
If CommodityNumber = 5 then ChopLimits2 = 90; {(PB) Pork Bellies}
If CommodityNumber = 7 then ChopLimits2 = 40; {(CT) Cotton}
If CommodityNumber = 8 then ChopLimits2 = 95; {(HG )or (CP) Copper}
If CommodityNumber = 9 then ChopLimits2 = 175; {(C) or (CN) Corn}
If CommodityNumber = 10 then ChopLimits2 = 170; {(KC) Coffee}
If CommodityNumber = 11 then ChopLimits2 = 80; {(O) or (OT) Oats}
If CommodityNumber = 12 then ChopLimits2 = 145; {(OJ) Orange Juice}
If CommodityNumber = 13 then ChopLimits2 = 40; {(PL) Platinum}
If CommodityNumber = 16 then ChopLimits2 = 800; {(SI) or (SV) Silver}
If CommodityNumber = 17 then ChopLimits2 = 1240;{(S) or (SD) Soybeans}
If CommodityNumber = 18 then ChopLimits2 = 235; {(SM) Soybean Meal}
If CommodityNumber = 19 then ChopLimits2 = 25; {(BO) Soybean Oil}
If CommodityNumber = 20 then ChopLimits2 = 10; {(SU) Sugar #11}
If CommodityNumber = 21 then ChopLimits2 = 29; {(W) or (WD) Wheat}
If CommodityNumber = 24 then ChopLimits2 = 40; {(DM) D Mark}
If CommodityNumber = 25 then ChopLimits2 = 35; {(SF) Swiss Franc}
If CommodityNumber = 26 then ChopLimits2 = 55; {(BP) British Lb}
If CommodityNumber = 27 then ChopLimits2 = 175; {(LB) Lumber}
If CommodityNumber = 30 then ChopLimits2 = 405; {(GC) Gold}
If CommodityNumber = 41 then ChopLimits2 = 15; {(TB) T Bills}
If CommodityNumber = 44 then ChopLimits2 = 50; {(US) T Bonds}
If CommodityNumber = 65 then ChopLimits2 = 30; {(JY) Japanese Yen}
If CommodityNumber = 89 then ChopLimits2 = 48; {(HO) Heating Oil}
If CommodityNumber = 127 then ChopLimits2 = 35; {(S2) Day Swiss Franc}
If CommodityNumber = 128 then ChopLimits2 = 55; {(B2) Day British Lb}
If CommodityNumber = 141 then ChopLimits2 = 6; {(ED Euro$}
If CommodityNumber = 144 then ChopLimits2 = 50; {(TQ) Day T Bonds}
If CommodityNumber = 149 then ChopLimits2 = 60; {(SP) S&P 500}
If CommodityNumber = 150 then ChopLimits2 = 40; {(TY) T Notes}
If CommodityNumber = 188 then ChopLimits2 = 10; {(CL) Crude Oil}
If CommodityNumber = 224 then ChopLimits2 = 55; {(HU) Unleaded Gas}
If CommodityNumber = 250 then ChopLimits2 = 40; {(TT) Day T Notes}
If CommodityNumber = 261 then ChopLimits2 = 40; {(D2) Day D Mark}
If CommodityNumber = 262 then ChopLimits2 = 30; {(J2) Day Japanese Yen}
If CommodityNumber = 263 then ChopLimits2 = 35; {(DX US $ Index}
If CommodityNumber = 269 then ChopLimits2 = 6; {(E2) Day Euro$}
end;

{ Function: ChoppyIndex }
If HighestBar(TrueHigh,30) <= LowestBar(TrueLow,30)
then ChoppyIndex = 10*(Highest(TrueHigh,30)-Lowest(TrueLow,30))
else ChoppyIndex = - 10*(Highest(TrueHigh,30)-Lowest(TrueLow,30));


-----Original Message-----
From: Patrick [SMTP:vibri@xxxxxxxxx]
Sent: Thursday, May 06, 1999 12:12 PM
To: OmegaList
Subject: Top 10 Systems of All Time

Dear List,

I was looking through my old Futures mags and ran across an article
titled
Top 10 Trading Systems of All Time in the July 1997 issue. Below
is a
list of the systems. Usually I can not trade portfolio systems
because they
require to much capital but the non-portfolio systems look
interesting. If
anyone has some detail on these systems post it to the list.


1.) Time Trend III
Oscillator system that changes to trend following when certain
conditions
are met.

2.) Culler Currency System
Volatility breakout system.

3.) DCS II
Based on n-day breakout with trailing stop.

4.) Dollar Trader
Long term system. Average nine traders per year.

5.) Grand Cayman
Portfolio system

6.) R-Breaker
Breakout and counter trend S&P day-trading system

7.) Universal LT
Volatility based breakout system for a portfolio.

8.) Aberration
Long term posrtfolio system

9.) Catscan I
Trades differently for trending and choppy markets

10.) Combo Advantage
Black Box System.

RE: Ideen für Systeme

Hallo Michael,

lass uns doch erst einmal anfangen, dann werden solche Aspekte auch angesprochen, nur vielen ist es wichtig einen Eintritt in den Markt zu bekommen.
In meinen Augen der beste Start für eine solche Serie.

Grüße

liveman